Practical points from 023: - David switched from discretionary to quantitative trading by automating his method and lowering the exposure on single instruments, nevertheless he never stopped creating new ideas and testing them. - Always have a list of things/concepts you want to test. - One important question to ask when creating and testing a system: Are the live results deviating from the backtest, if so, why? - One of the benefits of moving from discretionary to quantitative is having the tools to know what is the optimal exit for X strategy with a good degree of confidence. In general, you become more efficent than you would be by using discretion alone as you are less prone to emotion or biases. - To find the best exit for X Strategy, test all possible variants and test for roboustness. - Montecarlo can help to test roboustness by adding random variation to price series and creating multiple outcomes. It is also very useful for measuring what is the ideal exposure to prevent X % drawdown from happepening in the future. - Typical Stop positions are usually the best points for price reversion. - Be an organized record keeper to avoid biases and saving hours of work in the future - Multiple systems trading together may help mitigate the exposure and weakness of individual executions, but it all depends on testing them together and see how they interact. - If you are testing equity portfolios keep an eye on survivorship bias as it may inflate results greatly, rendering your testing unreliable. - Have a method to measure your system's health (ie: x Standard deviation for a metric). - As a quantitative trader you must take care of every line of code, metric and aspect of your work (being the mouse). - There are a lot of tools avaiable that can make the transition from discretional to quantitative less daunting. - Surround yourself with brighter people, also those who think differently and be open to new ways of thinking. - Bottomless wonders sprawl from simple patterns that repeat over and over (a perspective on fractals).
Hey Aaron, just wanted to give you major props for everything you've done with your podcast. I listen to it daily when I'm in the car to and from work. The interviews I've heard thus far have had huge implications in the way I analyze and prepare my trades. Your podcast has nothing but priceless information, truly great stuff. Hope you know you now have a major fan from Manila! Keep up the great work man!
Wow just learn today David was one of Oliver Velez Assistant from his story .... really would love to see you interview Oliver Velez a legend in the trading world
Good chat, but it would’ve been nice to hear more about his coding journey and the language and libraries he uses, and the types of strategies that he uses. Or even more about that quant competition that he was in. Not a big fan of your intro and theme music; it seems like every financial show has this sensationalistic MC hype intro.
Practical points from 023:
- David switched from discretionary to quantitative trading by automating his method and lowering the exposure on single instruments, nevertheless he never stopped creating new ideas and testing them.
- Always have a list of things/concepts you want to test.
- One important question to ask when creating and testing a system: Are the live results deviating from the backtest, if so, why?
- One of the benefits of moving from discretionary to quantitative is having the tools to know what is the optimal exit for X strategy with a good degree of confidence. In general, you become more efficent than you would be by using discretion alone as you are less prone to emotion or biases.
- To find the best exit for X Strategy, test all possible variants and test for roboustness.
- Montecarlo can help to test roboustness by adding random variation to price series and creating multiple outcomes. It is also very useful for measuring what is the ideal exposure to prevent X % drawdown from happepening in the future.
- Typical Stop positions are usually the best points for price reversion.
- Be an organized record keeper to avoid biases and saving hours of work in the future
- Multiple systems trading together may help mitigate the exposure and weakness of individual executions, but it all depends on testing them together and see how they interact.
- If you are testing equity portfolios keep an eye on survivorship bias as it may inflate results greatly, rendering your testing unreliable.
- Have a method to measure your system's health (ie: x Standard deviation for a metric).
- As a quantitative trader you must take care of every line of code, metric and aspect of your work (being the mouse).
- There are a lot of tools avaiable that can make the transition from discretional to quantitative less daunting.
- Surround yourself with brighter people, also those who think differently and be open to new ways of thinking.
- Bottomless wonders sprawl from simple patterns that repeat over and over (a perspective on fractals).
Hey Aaron, just wanted to give you major props for everything you've done with your podcast. I listen to it daily when I'm in the car to and from work. The interviews I've heard thus far have had huge implications in the way I analyze and prepare my trades. Your podcast has nothing but priceless information, truly great stuff. Hope you know you now have a major fan from Manila! Keep up the great work man!
+Kito Romualdez - Hey Kito, thanks a million. I appreciate the kind words man, stay in touch!
Hi Aaron, thanks very much for putting in the work, the podcast is great. Well done sir.
+Timothy Chuma, you're most welcome! Good to have you tuned in.
Wow just learn today David was one of Oliver Velez Assistant from his story .... really would love to see you interview Oliver Velez a legend in the trading world
great talk, i am in the process of transitioning to automated trading myself.
Good
General
1. Systems Thinking
2. Planning / Record Keeping
Just love that story. Thank You Guys.
you're welcome. :)
Thanks David,Aaron
Great great great interview
👏🏼👏🏼
damn dese beats be off da CHAIN boi
Lmao i thought he was a girl in the thumbnail
ME TOO!!!
Good chat, but it would’ve been nice to hear more about his coding journey and the language and libraries he uses, and the types of strategies that he uses. Or even more about that quant competition that he was in.
Not a big fan of your intro and theme music; it seems like every financial show has this sensationalistic MC hype intro.
His Twitter is abandoned.
Just like his trading account looool